| Article Information |
| Journal: |
Business and Economics Research Journal |
| Title of Article: |
Volatility Spillover between Uncertainty in Financial and Commodity Markets and Turkish Stock Market |
| Author(s): |
Baris Kocaarslan |
| Volume: |
11 |
| Number: |
1 |
| Year: |
2020 |
| Page: |
119-129 |
| ISSN: |
2619-9491 |
| DOI Number: |
10.20409/berj.2020.239 |
|
| Abstract |
| The aim of this study is to investigate risk spillovers between uncertainty about financial and commodity markets and Turkish stock market by using a causality-in-variance test. To this end, we use implied volatility indexes (the implied volatility of the gold, oil, stock, and currency prices from options markets) and Morgan Stanley Capital International (MSCI) Turkish stock market index. The volatility model estimates demonstrate that implied volatilities and Turkish stock market index are strongly influenced by long-run volatility. The causality-in-variance test results provide evidence of a significant one-way volatility spillover effect from uncertainty in financial and commodity markets to the Turkish stock market. The results suggest that Turkish stock market returns are highly sensitive to uncertainty shocks in global markets, and hence this high-sensitivity reduces the attractiveness of investments in the Turkish market. Our findings present important implications for the implementation of sound economic policies and for the formation of optimal portfolios. |
| Keywords: |
Implied Volatility, Uncertainty, Causality-in-Variance, Volatility Spillover, Turkish Stock Market |
|
| JEL Classification: |
C58, G15 |
|
